Modeling Portfolios that Contain Risky Assets

When

Start: 02/19/2015 - 12:00pm End : 02/19/2015 - 1:00pm

Category

Applied Math Seminar

Speaker

C. David Levermore (University of Maryland)

Abstract

Portfolios that contain risky assets provide one thread of a upper-level undergraduate course on data-driven modeling. The course is about turning data into information, information into knowledge, and knowledge into a decision. We describe some of the mathematics and finance topics that arise in the course. These topics include constrained optimization with inequality constraints, Markov processes, the law of large numbers, central limit theorems, nonparametric statistical models, Markowitz portfolio theory, efficient market hypotheses, and uncertainty quantification.